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A research paper co-authored by Simon Rottke (Amsterdam Business School, Finance section) was recently awarded 3rd place in a competition for the Dr. Richard A. Crowell Memorial Prize.

The prize is awarded annually by the asset management firm PanAgora. The competition promotes and recognises new and cutting-edge academic research that successfully connects theory and practice in quantitative investing and management.

The paper, Streaks in Daily Returns was written by Rottke and co-authors Alexander Klos and Alexandra Koehl (both from Kiel University). Their paper shows that when stocks experience 'streaks', for example several days of price-increases or decreases in a row, their prices tend to bounce back going forward. To explain their findings, the authors suggest a model based on human psychology. The idea here is that people have a tendency to extrapolate experiences from the past to the future.

About the Crowell Memorial Prize

This international competition is sponsored by the asset management firm PanAgora. Prizes are awarded for ‘innovative, forward-thinking research that addresses timely issues. Many previous winners of the this prize come from highly ranked universites such as Harvard, Yale and the University of Pennsylvania's Wharton business school. More information about the prize and the 1st and 2nd place winners can be found on the PanAgora website.